Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1346 |
| Annualized Std Dev | 0.4071 |
| Annualized Sharpe (Rf=0%) | -0.3307 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4086.0000 |
| NAs | 1.0000 |
| Minimum | -0.4025 |
| Quartile 1 | -0.0082 |
| Median | 0.0004 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0006 |
| Quartile 3 | 0.0084 |
| Maximum | 0.3343 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0007 |
| Stdev | 0.0256 |
| Skewness | -1.2309 |
| Kurtosis | 53.2160 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0190 |
| Gain Deviation | 0.0199 |
| Loss Deviation | 0.0232 |
| Downside Deviation (MAR=210%) | 0.0229 |
| Downside Deviation (Rf=0%) | 0.0191 |
| Downside Deviation (0%) | 0.0191 |
| Maximum Drawdown | 0.9756 |
| Historical VaR (95%) | -0.0311 |
| Historical ES (95%) | -0.0598 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0231 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-09-04 | 2020-03-18 | NA | -0.9756 | 1648 | 1394 | NA |
| 2007-05-14 | 2008-11-21 | 2013-04-11 | -0.6321 | 1489 | 388 | 1101 |
| 2005-08-04 | 2005-12-29 | 2006-11-20 | -0.1898 | 328 | 103 | 225 |
| 2013-05-13 | 2013-11-13 | 2014-06-27 | -0.1625 | 285 | 130 | 155 |
| 2006-12-07 | 2007-01-16 | 2007-02-01 | -0.0887 | 37 | 25 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.2 |
| 2005 | 0.1 | 0.5 | -2 | 0.2 | 2.1 | 0 | 1.6 | 0.3 | 1.1 | -0.9 | -1 | 0.2 | 2 |
| 2006 | -0.1 | 0.7 | 1 | 0.3 | 1 | -0.3 | 0.8 | 1 | 1.8 | 1 | 2 | -0.4 | 9.4 |
| 2007 | 1.7 | -0.7 | 1.8 | 0.2 | 0.6 | -1.5 | -1.9 | 2.9 | -1.1 | -0.4 | -0.1 | 0.4 | 1.9 |
| 2008 | 2.3 | -0.5 | 1.3 | 2.5 | 0.8 | -2 | 1.2 | -1.3 | -0.2 | -0.1 | -1.1 | -1.3 | 1.8 |
| 2009 | 0.1 | -1.2 | 1.6 | 4.4 | -2.6 | -6.4 | -1.6 | -3.5 | -3.7 | 0.3 | 0.9 | -0.6 | -12.1 |
| 2010 | -0.1 | -1.6 | 2.9 | 0 | -1 | -1.8 | 1.1 | 0.5 | 0.2 | -0.1 | 0 | 0.3 | 0.3 |
| 2011 | 0 | -0.4 | 1.8 | 0.8 | -0.5 | 0.6 | -0.3 | 0.1 | -0.4 | -2.1 | 0 | -0.5 | -1 |
| 2012 | 0 | 0.8 | -0.2 | -0.3 | -1.9 | 2.3 | 1 | 0.3 | 0 | 0.7 | 0.1 | -0.1 | 2.6 |
| 2013 | 0.5 | 0 | 1.4 | 0.7 | -1.5 | 0.5 | 1.1 | 0.2 | -0.2 | 0 | 0.7 | 0.1 | 3.6 |
| 2014 | 0.5 | 0.8 | 0.5 | 0 | 0.1 | 0 | -0.8 | 0.3 | -1.4 | 0.6 | -5.1 | -0.3 | -4.9 |
| 2015 | -0.1 | 0.2 | -1.8 | -0.1 | -0.6 | 0 | 0.7 | 0.2 | 1 | 1 | 0.1 | 5.3 | 5.8 |
| 2016 | -4.2 | 1.2 | -2 | 0.2 | 1.2 | -0.3 | -2 | 1 | 0.3 | -0.8 | 0.2 | -0.7 | -5.8 |
| 2017 | 3.5 | 0.9 | 1 | 0 | 0.7 | 2.6 | -0.2 | 2.4 | 1.1 | 1.4 | 4 | 0.8 | 19.8 |
| 2018 | 2.2 | -1.3 | 1.3 | 0.3 | 0.4 | 1.5 | 0.8 | -0.6 | 1.6 | 1.2 | 2.1 | 1.5 | 11.5 |
| 2019 | 1.2 | -1.3 | 1.1 | -0.2 | -0.4 | 0.8 | -2 | 1.1 | -1.2 | 1.3 | 0.1 | 0.6 | 1.2 |
| 2020 | -0.9 | -1.9 | -2.4 | -5.5 | 1.4 | -2.2 | -0.7 | -0.7 | -2.1 | -1.5 | -2.8 | -1 | -18.7 |
| 2021 | 0.3 | 5.9 | 1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
